Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK CREDIT RISK DETAIL

The table as at 31 December 2018 has been modified as follows to take into account the integration of default for each exposure class (probability of default equal to 100%):

31.12.2018

Original on- balance sheet gross exposure

Value adjust- ments and Provi- sions

Off- balance sheet exposures pre-CCF

EAD post CRM and post-CCF

Average CCF

Average PD

Average LGD

Average maturity RWA

RWA density

(In EURm)

PD scale

EL

Central governments and central banks

0.00 to <0.15 144,523

2,045

0 169,094

0

0

0 1,981

0

3

0.15 to <0.25

-

-

-

-

-

-

-

-

-

-

0.25 to <0.50 2,033 0.50 to <0.75 12,487 0.75 to <2.50 1,202 2.50 to <10.00 1,539

25 24

75% 3,898 0.26% 17.93% 2.61

857

22% 2 57% 4 47% 9

58% 2,352 0.50% 35.37% 2.46 1,338

770 778 392

75% 1,977 1.86% 25.95% 2.00 75% 479 6.12% 30.07% 1.88 42% 214 11.89% 18.89% 1.92 75% 75 100.00% 66.10% 1.24

935

512 107% 8

10.00 to <100.00 100.00 (default)

284 203

195

91% 5 3% 58

0

2

Sub-total 162,271 0.00 to <0.15 22,107

4,034 70% 178,089 0.11% 4.39% 1.54 5,821

3% 89 (68)

Institutions

7,848

58% 35,794 0.04% 11.31% 2.39 1,833

5% 4

0.15 to <0.25 0.25 to <0.50

-

-

-

-

-

-

-

-

-

-

823

641 210 760 360 328

61% 1,511 0.26% 19.59% 1.73 24% 760 0.50% 28.09% 1.28 54% 1,087 1.44% 18.91% 1.61 46% 718 4.00% 25.25% 1.31 46% 213 15.76% 15.21% 0.99 80% 28 100.00% 25.10% 2.37

371 340 580 599

25% 1 45% 1 53% 3 83% 7

0.50 to <0.75 7,910 0.75 to <2.50 3,393 2.50 to <10.00 1,054

10.00 to <100.00 100.00 (default)

272

433 204% 14

72

0

16

56% 11

Sub-total

35,631 10,146 56% 40,111 0.32% 12.47% 2.30 4,172 10% 41 (22)

Corporate – SME

0.00 to <0.15 1,028 0.15 to <0.25 2,680 0.25 to <0.50 1,048 0.50 to <0.75 5,583 0.75 to <2.50 9,993 2.50 to <10.00 8,074 10.00 to <100.00 2,550

628

64% 3,385 0.06% 25.18% 1.59 1,009

30% 1 7% 1 33% 1 45% 5 62% 55 81% 119

306 100% 2,985 0.19% 11.21% 1.00

198 464

658 835

48% 1,420 0.26% 35.27% 2.33

53% 3,099 0.51% 34.22% 2.62 1,402 51% 11,231 1.52% 30.17% 2.94 6,990 58% 9,077 4.49% 29.87% 2.48 7,310

2,022 1,311

210 183

55% 2,704 16.72% 25.38% 2.27 2,754 102% 114

100.00 (default)

1,791

43% 1,880 100.00% 36.53% 1.89 1,791

95% 773

Sub-total

32,746

6,153 56% 35,780 8.21% 28.56% 2.38 21,919 61% 1,069 (995)

Corporate – Specialised lending

0.00 to <0.15 4,638

2,978

38% 9,285 0.07% 19.61% 2.86 1,047

11% 1

0.15 to <0.25

-

-

-

-

-

-

-

-

-

-

0.25 to <0.50 2,933 0.50 to <0.75 7,842 0.75 to <2.50 14,706 2.50 to <10.00 8,629

1,509 2,712 7,539 3,957

46% 3,310 0.26% 14.60% 2.81

600

18% 1 26% 6 43% 34 54% 46 83% 6 18% 333

43% 8,016 0.50% 14.66% 3.16 2,120 38% 14,137 1.51% 15.97% 3.25 6,062 35% 7,292 4.10% 16.47% 2.72 3,914

10.00 to <100.00 100.00 (default)

479 843

180

41% 261 14.01% 16.60% 2.36 78% 718 100.00% 36.27% 2.63

217 129

95

Sub-total

40,068 18,970 39% 43,019 3.07% 16.61% 3.01 14,089 33% 427 (380)

Corporate – Other

0.00 to <0.15 25,227

67,742

50% 65,179 0.07% 31.97% 2.43 11,510

18% 14

0.15 to <0.25

-

-

-

-

-

-

-

-

-

-

0.25 to <0.50 8,662 0.50 to <0.75 21,005 0.75 to <2.50 20,872 2.50 to <10.00 12,312 10.00 to <100.00 2,643

19,393 13,504 15,216

47% 17,923 0.26% 32.20% 2.61 7,019 44% 14,751 0.50% 30.37% 2.31 7,378 48% 26,968 1.56% 25.55% 2.28 16,860 41% 16,736 4.21% 27.13% 2.22 14,706

39% 19 50% 24 63% 110 88% 190

9,371 1,226

46% 2,335 15.33% 31.34% 1.90 3,583 153% 110

100.00 (default)

2,747

590

58% 2,765 100.00% 45.52% 2.06 1,617

58% 1,474

Sub-total

93,467 127,042 48% 146,657 3.01% 30.30% 2.37 62,673 43% 1,942 (1,895)

Retail – Secured by real estate SME

0.00 to <0.15 0.15 to <0.25 0.25 to <0.50

22

3 100% 90 0.04% 13.41%

- - - - - - - -

6 0

6% 0 3% 0 7% 0 8% 1 15% 4 29% 4 45% 7

0

0

0% 0 0.16% 10.00%

741

5 100% 746 0.27% 16.19% 18 100% 1,476 0.54% 11.45% 26 100% 2,472 1.13% 13.99% 8 100% 793 2.99% 14.68% 6 100% 401 16.23% 10.45% 0 100% 259 100.00% 46.51%

49

0.50 to <0.75 1,459 0.75 to <2.50 2,447

113 367 230 182

2.50 to <10.00 10.00 to <100.00 100.00 (default)

785 396 324

295 114% 121

Sub-total

6,173

67 100% 6,238 6.19% 14.86% -

1,241 20% 137 (130)

114

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |